Inflation Protection Correlations

PIPIX Fund

USD 8.02 0.02 0.25%

The current 90-days correlation between Inflation Protection and Strategic Asset Management is -0.06 (i.e., Good diversification). The correlation of Inflation Protection is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Inflation Protection Correlation With Market

Modest diversification

The correlation between Inflation Protection Fund and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Inflation Protection Fund and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Inflation Protection Fund. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Inflation Mutual Fund

0.7	PGBAX	Global Diversified Income	Pair Corr
0.66	PGBLX	Global Diversified Income	Pair Corr
0.73	PGDIX	Global Diversified Income	Pair Corr
0.63	PGRUX	Global Real Estate	Pair Corr
0.63	PGRKX	Global Real Estate	Pair Corr

Moving against Inflation Mutual Fund

0.32

PHSPX

Pimco High Yield

Pair Corr

Related Correlations Analysis

	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX
SABPX		1.0	1.0	0.53	0.21	0.42	0.01	0.42	0.99	SABPX
SACAX	1.0		0.99	0.53	0.24	0.41	0.06	0.42	0.98	SACAX
SAGPX	1.0	0.99		0.48	0.17	0.38	-0.02	0.38	0.98	SAGPX
PFIJX	0.53	0.53	0.48		0.75	0.86	0.4	0.86	0.62	PFIJX
PFIEX	0.21	0.24	0.17	0.75		0.79	0.72	0.79	0.28	PFIEX
PFIFX	0.42	0.41	0.38	0.86	0.79		0.44	1.0	0.51	PFIFX
PFISX	0.01	0.06	-0.02	0.4	0.72	0.44		0.44	0.02	PFISX
PFIPX	0.42	0.42	0.38	0.86	0.79	1.0	0.44		0.52	PFIPX
SAIPX	0.99	0.98	0.98	0.62	0.28	0.51	0.02	0.52		SAIPX
	SABPX	SACAX	SAGPX	PFIJX	PFIEX	PFIFX	PFISX	PFIPX	SAIPX

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SACAX	+ 1.0	SABPX
SAGPX	+ 1.0	SABPX
PFIPX	+ 1.0	PFIFX
SAIPX	+ 0.99	SABPX
SAGPX	+ 0.99	SACAX
SAIPX	+ 0.98	SACAX

High negative correlations

PFISX

- 0.02

SAGPX

Risk-Adjusted Indicators

There is a big difference between Inflation Mutual Fund performing well and Inflation Protection Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Inflation Protection's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SABPX	0.49	(0.11)	0.00	(2.20)	0.00	0.00	0.80	(0.79)	8.49
SACAX	0.69	(0.13)	0.00	(2.03)	0.00	0.00	1.11	(1.32)	10.54
SAGPX	0.63	(0.15)	0.00	(3.01)	0.00	0.00	1.00	(1.08)	11.28
PFIJX	0.18	(0.01)	(0.23)	(0.06)	0.20	(0.21)	0.39	(0.39)	0.95
PFIEX	0.59	0.00	(0.01)	0.06	0.77	(0.60)	1.09	(1.22)	2.90
PFIFX	0.18	(0.02)	(0.23)	(0.01)	0.20	(0.21)	0.39	(0.39)	1.02
PFISX	0.62	(0.02)	(0.03)	0.04	0.87	(0.57)	1.02	(1.20)	3.19
PFIPX	0.18	(0.02)	(0.23)	(0.01)	0.20	(0.21)	0.39	(0.39)	1.02
SAIPX	0.33	(0.07)	0.00	(1.17)	0.00	0.00	0.60	(0.53)	5.38

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